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If it is not in the man pages or the how-to's this is the place!

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Introduction to Linux - A Hands on Guide

This guide was created as an overview of the Linux Operating System, geared toward new users as an exploration tour and getting started guide, with exercises at the end of each chapter.
For more advanced trainees it can be a desktop reference, and a collection of the base knowledge needed to proceed with system and network administration. This book contains many real life examples derived from the author's experience as a Linux system and network administrator, trainer and consultant. They hope these examples will help you to get a better understanding of the Linux system and that you feel encouraged to try out things on your own.

Not sure what you are asking about?
1. Are you having problems with playing videos on Linux?
2. Are you trying to find equivalents of Windows media programs on Linux?
3. Are you thinking of porting Windows programs to Linux?

1. You'd have to give us more details (eg. which distro?)
2. http://www.linuxrsp.ru/win-lin-soft/table-eng
3. Linux has enough good native media programs. There's no simple program to do it. You'd have to be an experienced programmer to do it.
Having said that, if you want to run some windows programs under linux, check out Wine (http://www.winehq.org/) Some programs may be able to run under linux.
Why do you want to do it anyway? If you want to run Windows programs, why don't you stay with Windows?

What matters is not what OS the media originated on, but what file format it was saved in (*.avi, *.mp4, *.wmv, *.mp3, *.ogg, *.ogv, and so on).

The only ones of those that sometimes present problems are the Windows media formats, because, at one time, Microsoft made strong efforts to keep them from playing on anything but Windows Media Player (with every "upgrade" to WMP, Microsoft would tweak the codec to break cross-platform compatibility), but, lately, MS seems to have given up that fight. VLC has played every Windows media format file I've thrown at it for the past two years.

The only format that still gives major problems are the Real media formats; for a long while, Real supported a Windows version of RealPlayer (a spin of the Linux Helix Media Player which was much better behaved than the Windows version), but they no longer support it. Older versions in RPM format and sources are available from the Helix website.